# encoding: UTF-8 ''' quantOS的TkPro系统接入 ''' import sys import os import json import traceback from datetime import datetime from vnpy.trader.vtConstant import * from vnpy.trader.vtObject import * from vnpy.trader.vtGateway import VtGateway from vnpy.trader.vtFunction import getJsonPath from vnpy.trader.vtEvent import EVENT_TIMER from .DataApi import DataApi from .TradeApi import TradeApi from collections import namedtuple # 以下为一些VT类型和TkPro类型的映射字典 # 动作印射 actionMap = {} actionMap[(DIRECTION_LONG, OFFSET_OPEN)] = "Buy" actionMap[(DIRECTION_SHORT, OFFSET_OPEN)] = "Short" actionMap[(DIRECTION_LONG, OFFSET_CLOSE)] = "Cover" actionMap[(DIRECTION_SHORT, OFFSET_CLOSE)] = "Sell" actionMap[(DIRECTION_LONG, OFFSET_CLOSEYESTERDAY)] = "CoverYesterday" actionMap[(DIRECTION_SHORT, OFFSET_CLOSEYESTERDAY)] = "SellYesterday" actionMap[(DIRECTION_LONG, OFFSET_CLOSETODAY)] = "CoverToday" actionMap[(DIRECTION_SHORT, OFFSET_CLOSETODAY)] = "SellToday" actionMapReverse = {v: k for k, v in actionMap.items()} # 交易所类型映射 exchangeMap = {} exchangeMap[EXCHANGE_CFFEX] = 'CFE' exchangeMap[EXCHANGE_SHFE] = 'SHF' exchangeMap[EXCHANGE_CZCE] = 'CZC' exchangeMap[EXCHANGE_DCE] = 'DCE' exchangeMap[EXCHANGE_SSE] = 'SH' exchangeMap[EXCHANGE_SZSE] = 'SZ' exchangeMapReverse = {v:k for k,v in exchangeMap.items()} # 持仓类型映射 sideMap = {} sideMap[DIRECTION_LONG] = 'Long' sideMap[DIRECTION_SHORT] = 'Short' sideMapReverse = {v:k for k,v in sideMap.items()} # 产品类型映射 productClassMapReverse = {} productClassMapReverse[1] = PRODUCT_EQUITY productClassMapReverse[3] = PRODUCT_EQUITY productClassMapReverse[4] = PRODUCT_EQUITY productClassMapReverse[5] = PRODUCT_EQUITY productClassMapReverse[8] = PRODUCT_BOND productClassMapReverse[17] = PRODUCT_BOND productClassMapReverse[101] = PRODUCT_FUTURES productClassMapReverse[102] = PRODUCT_FUTURES productClassMapReverse[103] = PRODUCT_FUTURES # 委托状态映射 statusMapReverse = {} statusMapReverse['New'] = STATUS_UNKNOWN statusMapReverse['Accepted'] = STATUS_NOTTRADED statusMapReverse['Cancelled'] = STATUS_CANCELLED statusMapReverse['Filled'] = STATUS_ALLTRADED statusMapReverse['Rejected'] = STATUS_REJECTED ######################################################################## class TkproGateway(VtGateway): """TkPro接口""" #---------------------------------------------------------------------- def __init__(self, eventengine, gatewayName='TKPRO'): """Constructor""" super(TkproGateway, self).__init__(eventengine, gatewayName) self.dataApi = TkproDataApi(self) # 行情 self.tradeApi = TkproTradeApi(self) # 交易 self.qryEnabled = False # 是否要启动循环查询 self.fileName = self.gatewayName + '_connect.json' self.filePath = getJsonPath(self.fileName, __file__) #---------------------------------------------------------------------- def connect(self): """连接""" try: f = open(self.filePath) except IOError: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'无法加载配置' self.onLog(log) return setting = json.load(f) f.close() try: username = str(setting['username']) token = str(setting['token']) strategy = int(setting['strategy']) tradeAddress = str(setting['tradeAddress']) dataAddress = str(setting['dataAddress']) except KeyError: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'连接配置缺少字段，请检查' self.onLog(log) return # 创建行情和交易接口对象 self.dataApi.connect(dataAddress, username, token) self.tradeApi.connect(tradeAddress, username, token, strategy) # 初始化并启动查询 self.initQuery() #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" self.dataApi.subscribe(subscribeReq) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" self.tradeApi.sendOrder(orderReq) #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" self.tradeApi.cancelOrder(cancelOrderReq) #---------------------------------------------------------------------- def qryAccount(self): """查询账户资金""" self.tradeApi.qryAccount() #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" self.tradeApi.qryPosition() #---------------------------------------------------------------------- def close(self): """关闭""" pass #---------------------------------------------------------------------- def initQuery(self): """初始化连续查询""" if self.qryEnabled: # 需要循环的查询函数列表 self.qryFunctionList = [self.qryPosition, self.qryAccount] self.qryCount = 0 # 查询触发倒计时 self.qryTrigger = 2 # 查询触发点 self.qryNextFunction = 0 # 上次运行的查询函数索引 self.startQuery() #---------------------------------------------------------------------- def query(self, event): """注册到事件处理引擎上的查询函数""" self.qryCount += 1 if self.qryCount > self.qryTrigger: # 清空倒计时 self.qryCount = 0 # 执行查询函数 function = self.qryFunctionList[self.qryNextFunction] function() # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 self.qryNextFunction += 1 if self.qryNextFunction == len(self.qryFunctionList): self.qryNextFunction = 0 #---------------------------------------------------------------------- def startQuery(self): """启动连续查询""" self.eventEngine.register(EVENT_TIMER, self.query) #---------------------------------------------------------------------- def setQryEnabled(self, qryEnabled): """设置是否要启动循环查询""" self.qryEnabled = qryEnabled ######################################################################## class TkproTradeApi(object): """TkPro交易API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(TkproTradeApi, self).__init__() self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 self.api = None #---------------------------------------------------------------------- def onOrderStatus(self, data): """委托信息推送""" if isinstance(data, dict): data = namedtuple('Order', list(data.keys()))(*list(data.values())) order = VtOrderData() order.gatewayName = self.gatewayName symbol, exchange = data.security.split('.') order.symbol = symbol order.exchange = exchangeMapReverse[exchange] order.vtSymbol = '.'.join([order.symbol, order.exchange]) order.orderID = str(data.entrust_no) order.taskID = str(data.task_id) order.vtOrderID = order.orderID order.direction, order.offset = actionMapReverse.get(data.entrust_action, (DIRECTION_UNKNOWN, OFFSET_UNKNOWN)) order.totalVolume = data.entrust_size order.tradedVolume = data.fill_size order.price = data.entrust_price order.status = statusMapReverse.get(data.order_status) order.tradePrice = data.fill_price t = str(data.entrust_time) t = t.rjust(6, '0') order.orderTime = '%s:%s:%s' %(t[0:2],t[2:4],t[4:]) self.gateway.onOrder(order) #---------------------------------------------------------------------- def onTaskStatus(self, data): """""" pass #---------------------------------------------------------------------- def onTrade(self, data): """成交信息推送""" if isinstance(data, dict): data = namedtuple('Trade', list(data.keys()))(*list(data.values())) trade = VtTradeData() trade.gatewayName = self.gatewayName symbol, exchange = data.security.split('.') trade.symbol = symbol trade.exchange = exchangeMapReverse[exchange] trade.vtSymbol = '.'.join([trade.symbol, trade.exchange]) trade.direction, trade.offset = actionMapReverse.get(data.entrust_action, (DIRECTION_UNKNOWN, OFFSET_UNKNOWN)) trade.tradeID = str(data.fill_no) trade.vtTradeID = str(data.fill_no) trade.orderID = str(data.entrust_no) trade.vtOrderID = trade.orderID trade.taskID = str(data.task_id) trade.price = data.fill_price trade.volume = data.fill_size t = str(data.fill_time) t = t.rjust(6, '0') trade.tradeTime = '%s:%s:%s' %(t[0:2],t[2:4],t[4:]) self.gateway.onTrade(trade) #---------------------------------------------------------------------- def onConnection(self, data): """""" self.writeLog(u'连接状态更新：%s' %data) if data: self.qryInstrument() self.qryOrder() self.qryTrade() #---------------------------------------------------------------------- def connect(self, tradeAddress, username, token, strategy): """初始化连接""" if self.api: self.writeLog(u'交易已经连接') return self.api = TradeApi(tradeAddress) self.api.set_data_format('obj') # 登录 result, msg = self.api.login(username, token) if not result: self.writeLog(u'交易登录失败，错误信息：%s' %msg) return result, msg = self.api.use_strategy(strategy) if result: self.writeLog(u'选定策略号：%s' %strategy) else: self.writeLog(u'选定策略号失败') self.api.set_ordstatus_callback(self.onOrderStatus) self.api.set_trade_callback(self.onTrade) self.api.set_task_callback(self.onTaskStatus) self.api.set_connection_callback(self.onConnection) #---------------------------------------------------------------------- def close(self): """关闭""" pass #---------------------------------------------------------------------- def writeLog(self, logContent): """记录日志""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = logContent self.gateway.onLog(log) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" if not self.api: return exchange = exchangeMap.get(orderReq.exchange, '') security = '.'.join([orderReq.symbol, exchange]) action = actionMap.get((orderReq.direction, orderReq.offset), '') taskid, msg = self.api.place_order(security, action, orderReq.price, int(orderReq.volume)) if taskid is 0: self.writeLog(u'委托失败，错误信息：%s' %msg) #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" if not self.api: return result, msg = self.api.cancel_order(cancelOrderReq.orderID) if result is 0: self.writeLog(u'撤单失败，错误信息：%s' %msg) #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" l, msg = self.api.query_position() if l is None: self.writeLog(u'查询持仓失败，错误信息：%s' %msg) return False for data in l: position = VtPositionData() position.gatewayName = self.gatewayName symbol, exchange = data.security.split('.') position.symbol = symbol position.exchange = exchangeMapReverse[exchange] position.vtSymbol = '.'.join([position.symbol, position.exchange]) position.direction = sideMapReverse.get(data.side, DIRECTION_UNKNOWN) position.vtPositionName = '.'.join([position.vtSymbol, position.direction]) position.price = data.cost_price position.ydPosition = data.pre_size position.tdPosition = data.today_size position.position = data.current_size position.frozen = data.frozen_size position.commission = data.commission position.enable = data.enable_size position.want = data.want_size position.initPosition = data.init_size position.trading = data.trading_pnl position.holding = data.holding_pnl position.last = data.last_price self.gateway.onPosition(position) return True #---------------------------------------------------------------------- def qryAccount(self): """查询资金""" l, msg = self.api.query_account() if l is None: self.writeLog(u'查询资金失败，错误信息：%s' %msg) return False for data in l: account = VtAccountData() account.gatewayName = self.gatewayName account.accountID = '_'.join([str(data.id), data.type]) account.vtAccountID = '.'.join([account.accountID, account.gatewayName]) account.available = data.enable_balance account.balance = account.available + data.frozen_balance account.closeProfit = data.close_pnl account.commission = data.commission account.margin = data.margin account.positionProfit = data.holding_pnl account.preBalance = data.init_balance self.gateway.onAccount(account) #---------------------------------------------------------------------- def qryOrder(self): """查询委托""" l, msg = self.api.query_order() if l is None: self.writeLog(u'查询委托失败，错误信息：%s' %msg) else: for data in l: self.onOrderStatus(data) self.writeLog(u'查询委托完成') #---------------------------------------------------------------------- def qryTrade(self): """查询成交""" l, msg = self.api.query_trade() if l is None: self.writeLog(u'查询成交失败，错误信息：%s' %msg) return False for data in l: self.onTrade(data) self.writeLog(u'查询成交完成') return True #---------------------------------------------------------------------- def qryInstrument(self): """查询合约""" # 通过DataAPI查询所有信息 df, msg = self.gateway.dataApi.api.query( view='jz.instrumentInfo', fields='symbol,name,inst_type,buylot,pricetick,multiplier', filter='inst_type=1', data_format='pandas' ) d = {} for n, row in df.iterrows(): d[row.symbol] = row # 查询所有信息 l, msg = self.api.query_universe() if l is None: self.writeLog(u'查询合约失败，错误信息：%s' %msg) return False for data in l: row = d[data.security] contract = VtContractData() contract.gatewayName = self.gatewayName symbol, exchange = data.security.split('.') contract.symbol = symbol contract.exchange = exchangeMapReverse[exchange] contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) contract.productClass = PRODUCT_EQUITY contract.name = unicode(row['name']) contract.priceTick = float(row['pricetick']) contract.size = int(row['multiplier']) self.gateway.onContract(contract) self.writeLog(u'查询合约完成') return True ######################################################################## class TkproDataApi(object): """TkPro行情API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(TkproDataApi, self).__init__() self.gateway = gateway self.gatewayName = gateway.gatewayName self.api = None self.fields = "open,close,high,low,last,\ volume,turnover,oi,preclose,time,date,\ askprice1,askprice2,askprice3,askprice4,askprice5,\ bidprice1,bidprice2,bidprice3,bidprice4,bidprice5,\ askvolume1,askvolume2,askvolume3,askvolume4,askvolume5,\ bidvolume1,bidvolume2,bidvolume3,bidvolume4,bidvolume5,\ limit_up,limit_down" #---------------------------------------------------------------------- def onMarketData(self, k, data): """行情推送""" tick = VtTickData() tick.gatewayName = self.gatewayName try: l = data['symbol'].split('.') tick.symbol = l[0] tick.exchange = exchangeMapReverse[l[1]] tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) tick.openPrice = data['open'] tick.highPrice = data['high'] tick.lowPrice = data['low'] tick.volume = data['volume'] tick.turnover = data['turnover'] tick.lastPrice = data['last'] tick.openInterest = data['oi'] tick.preClosePrice = data['preclose'] tick.date = str(data['date']) t = str(data['time']) t = t.rjust(9, '0') tick.time = '%s:%s:%s.%s' %(t[0:2],t[2:4],t[4:6],t[6:]) tick.bidPrice1 = data['bidprice1'] tick.askPrice1 = data['askprice1'] tick.bidVolume1 = data['bidvolume1'] tick.askVolume1 = data['askvolume1'] if 'bidprice2' in data: tick.bidPrice2 = data['bidprice2'] tick.bidPrice3 = data['bidprice3'] tick.bidPrice4 = data['bidprice4'] tick.bidPrice5 = data['bidprice5'] tick.askPrice2 = data['askprice2'] tick.askPrice3 = data['askprice3'] tick.askPrice4 = data['askprice4'] tick.askPrice5 = data['askprice5'] tick.bidVolume2 = data['bidvolume2'] tick.bidVolume3 = data['bidvolume3'] tick.bidVolume4 = data['bidvolume4'] tick.bidVolume5 = data['bidvolume5'] tick.askVolume2 = data['askvolume2'] tick.askVolume3 = data['askvolume3'] tick.askVolume4 = data['askvolume4'] tick.askVolume5 = data['askvolume5'] tick.upperLimit = data['limit_up'] tick.lowerLimit = data['limit_down'] self.gateway.onTick(tick) except Exception as e: self.writeLog(u'行情更新失败，错误信息：%s' % str(e)) #---------------------------------------------------------------------- def connect(self, dataAddress, username, token): """连接""" if self.api: self.writeLog(u'行情已经连接') return self.api = DataApi(dataAddress) result, msg = self.api.login(username, token) if not result: self.writeLog(u'行情登录失败，错误信息：%sa' %str(msg)) return self.writeLog(u'行情连接成功') #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" exchange = exchangeMap.get(subscribeReq.exchange, '') security = '.'.join([subscribeReq.symbol, exchange]) subscribed, msg = self.api.subscribe(security, fields=self.fields, func=self.onMarketData) if not subscribed: self.writeLog(u'行情订阅失败，错误信息：%s' %str(msg)) #---------------------------------------------------------------------- def writeLog(self, logContent): """记录日志""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = logContent self.gateway.onLog(log)